Publicação
Brexit : changes in cross-market correlation throughout Europe
| Resumo: | The aim of this study is to investigate the effects of Brexit on financial markets of Western Europe in the short and long term. To measure the strength of economic linkages between the UK and each of the 16 countries under consideration, cross-market correlation of returns and volatility was analysed before and after the Referendum. I found that in the short-term most stock markets experience negative returns and contagion effects following the Brexit announcement. However, these effects seem to disappear after two weeks and in the long run markets follow a detachment process. Considering potential country-specific variables affecting the scale and direction of those changes, it has been discovered that factors such as pre-Brexit interdependence, geography, trade and size significantly influence market reactions. Mediterranean countries experience consistently stronger market reactions. My results highlight the high degree of interdependence between the UK and most European countries and how Brexit has been changing pre-existing equilibria. |
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| Autores principais: | Tessarolo, Valentina |
| Assunto: | Brexit Financial markets Correlation Returns Volatility Short and long term Country-specific factors Mercados financeiros Correlação Retornos Volatilidade Curto e longo prazo Factores específicos por país |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Católica Portuguesa |
| Idioma: | inglês |
| Origem: | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| Resumo: | The aim of this study is to investigate the effects of Brexit on financial markets of Western Europe in the short and long term. To measure the strength of economic linkages between the UK and each of the 16 countries under consideration, cross-market correlation of returns and volatility was analysed before and after the Referendum. I found that in the short-term most stock markets experience negative returns and contagion effects following the Brexit announcement. However, these effects seem to disappear after two weeks and in the long run markets follow a detachment process. Considering potential country-specific variables affecting the scale and direction of those changes, it has been discovered that factors such as pre-Brexit interdependence, geography, trade and size significantly influence market reactions. Mediterranean countries experience consistently stronger market reactions. My results highlight the high degree of interdependence between the UK and most European countries and how Brexit has been changing pre-existing equilibria. |
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